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Variance optimal hedging for continuous time additive processes and applications
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process.... -
BSDEs under partial information and financial applications.
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We...
